IndexLab-Weighted-Index

Currently no, but I think it's a good idea, so I'm going to add a new indicator, CompisiteWeightedIndex, to the next release of IndexLab. You'll be able to specify weightings using a text-box parameter of comma separated entries, like:

AAPL=2, BA=1.5, CSCO=1, EBAY=0.5

It might be possible to achieve in C# code. Here's a quick and dirty prototype:

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using WealthLab.ChartWPF;
using System.Drawing;
using System.Collections.Generic;

namespace WealthScript3 
{
   public class MyStrategy : UserStrategyBase
   {
      TimeSeries index = new TimeSeries();
      string key = "IndexOnDemand";

      public override void Initialize(BarHistory bars)
      {
         if (GetGlobal(key) == null)
         {
            // Index weights array
            string[] sym = new string[2] { "AAPL", "IBM" };
            double[] pct = new double[2] { 0.65, 0.35 };

            // Get external symbols data for index creation
            try
            {
               var x = new TimeSeries(bars.DateTimes, 0);
               for(int i = 0; i <= sym.GetUpperBound(0); i++)
               {
                  x += (GetHistory(bars, sym[i]).Close * pct[i]);
               }

               index = x;
               index.Description = "Weighted Index";

               // Place created index to global memory
               SetGlobal(key, index);
            }
            catch
            {
               WriteToDebugLog("No data or could not find series");
            }
         }

         var global = (TimeSeries)GetGlobal(key);
         PlotTimeSeriesLine(global, global.Description, "indexPane");
      }

      public override void Execute(BarHistory bars, int idx)
      {
      }
   }
}

That would be fantastic -- thanks! In the construct you define, I assume that for the quick example you laid out, the end result would be for AAPL to have a 40% weight, BA a 30% weight, CSCO 20%, and EBAY 10% -- all summing to 100%.

Is that correct?

Also, I tried to run the code. It compiled and ran successfully. However, can you tell me where to go to see the results either in a chart or in the combined time series.

Still trying to figure out WL7 ... Thanks.

I already implemented the CompositeWeightedIndicator for the next release of IndexLab, in case you want to wait ...

You folks are amazing!! When is that release? In the meantime how do look at the results from the quick code that was posted?

Thanks!

Indicator should be plotted at the bottom of the chart.

One thing that IndexLab does that Eugene's quick code does not is account for splits in the historical data. If not done, it can severely throw off the generated composite.

Good point Dion, the code should take splits into account using the SplitReverse indicator e.g.

CODE:

//replace
//x += (GetHistory(bars, sym[i]).Close * pct[i]);

//with
var _bSym = GetHistory(bars, sym[i];
var _adj = SplitReverse.Series(_bSym, PriceComponents.Close);
x += _adj * pct[i];

There is no plot at the bottom after I run the code.

Try this simplified version. Remember it's just a proof of concept - not the complete code:

CODE:
using WealthLab.Backtest;
using System;
using WealthLab.Core;
using WealthLab.Indicators;
using WealthLab.ChartWPF;
using System.Drawing;
using System.Collections.Generic;

namespace WealthScript1 
{
   public class MyStrategy : UserStrategyBase
   {
      TimeSeries index = new TimeSeries();

      //plot a market benchmark in its own pane and don't trade unless the benchmark is above its 50-day SMA
      public override void Initialize(BarHistory bars)
      {
         // Index proportions array
         string[] sym = new string[2] { "AAPL", "IBM" };
         double[] pct = new double[2] { 0.65, 0.35 };

         // Get external symbols data for index creation
         try
         {
            var x = new TimeSeries(bars.DateTimes, 0);
            for (int i = 0; i <= sym.GetUpperBound(0); i++)
            {
               var _bSym = GetHistory(bars, sym[i]);
               var _adj = SplitReverse.Series(_bSym, PriceComponents.Close);
               x += _adj * pct[i];
            }

            index = x;
            index.Description = "Weighted Index";
         }
         catch
         {
            WriteToDebugLog("No data or could not find series");
         }

         PlotTimeSeriesLine(index, index.Description, "indexPane");
      }

      public override void Execute(BarHistory bars, int idx)
      {
      }
   }
}

Do you have a planned date for this release in the extension? I notice there has been at least 1 new release but I don’t believe this enhancement was included. Thanks!

It's in Build 8 - since 2 March.

I just noticed we should improve the Description of CompositeWeightedIndex, but there's a help hint if you hover over the "Weights" parameter.

Description (should be):
Generates an index of a DataSet taking an average of weighted closing prices and accounting for the effects of stock splits. The weight of each component is 1.0 unless specified as follows, e.g., AAPL=1.25, BA=0.75, GOOGL=1.2